| Robustnessand Pricing with Uncertain Growth (2002) | |||||||||||||
Abstract | |||||||||||||
| this article wemoJG investo preferences using a penalty approy. that lets investoJ exploD deviatioE fro anapproH.2JGEj mor o thetechnoL oe evoDNFE.2 FoJJjEH , we append a termto thediscoNN.2 expected utility As is typical withratioDj expectatioE moecta wedo no exploE fooEj. ho w investoJ arrive at anappro6 imatingmotin but we do presume that the remainingmoain that are entertained are difficultto distinguish fro the approF.2DHE6 moro givenhisto.2DH data.Aratio.G expectatioE coctatioE moct ho wever, woFG remo vemoEG approjG6G.o erro fro coojG6G.oo EcooH.H. use a max-minfoin.JGEGj when they use Lagrange multipliers.Lagrange multipliersallo w usto co vert acoHH.2NLHH maximizatio proimi into anuncoL6.2NLHH maximum-minimumpromum-min coomum-m isimpoDD bysuppo6E. there exists afictitio2 malevolent agent whot aim it isto punish the ohe.LFE decisio maker when thecoJNHDG.2 isviojLj.2GDHj devicefo impoGLj acoEjF.2GD isalgoG6.2GDHj.o co venient.So is o. two.JJDL foJDLF.2J6 o ro ustness | |||||||||||||
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